GCROBUSTVAR: Stata module to compute a VAR-based Granger-causality Test in the Presence of Instabilities

Barbara Rossi and Yiru Wang

Statistical Software Components from Boston College Department of Economics

Abstract: gcrobustvar computes a VAR-based Granger-causality Test in the Presence of Instabilities.

Language: Stata
Requires: Stata version 14.1 and matsqrt from http://www.stata.com/users/jpitblado (q.v.)
Keywords: VAR; Granger causality; robust (search for similar items in EconPapers)
Date: 2020-07-09
Note: This module should be installed from within Stata by typing "ssc install gcrobustvar". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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http://fmwww.bc.edu/repec/bocode/g/gcrobustvar.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/c/chowgmmstar3.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/n/nyblomstar3.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/p/pvcalc.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/g/gcrobustvar.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/p/pvtable.mmat lookup file (application/x-stata)
http://fmwww.bc.edu/repec/bocode/g/gcrobustvar.do sample do-file (text/plain)
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http://fmwww.bc.edu/repec/bocode/g/GCdata.xlsx sample data (application/x-msexcel)

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